The Effects of Largest Claim and Excess of Loss Reinsurance on a Company's Ruin Time and Valuation
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Fan, Yuguang; Griffin, Philip S; Maller, Ross; Szimayer, Alexander; Wang, Tiandong
Description
We compare two types of reinsurance: excess of loss (EOL) and largest claim reinsurance (LCR), each of which transfers the payment of part, or all, of one or more large claims from the primary insurance company (the cedant) to a reinsurer. The primary insurer’s point of view is documented in terms of assessment of risk and payment of reinsurance premium. A utility indifference rationale based on the expected future dividend stream is used to value the company with and without reinsurance....[Show more]
Collections | ANU Research Publications |
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Date published: | 2017 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/248787 |
Source: | Risks |
DOI: | 10.3390/risks5010003 |
Access Rights: | Open Access |
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01_Ipsen_The_Effects_of_Largest_Claim_2017.pdf | 563.07 kB | Adobe PDF |
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